Volatility and price change spillover effects across the developed and emerging markets

Author:

John Wei K.C.,Liu Yu-Jane,Yang Chau-Chen,Chaung Guey-Shiang

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference20 articles.

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2. Generalized autoregressive conditional heteroscedasticity;Bollerslev;Journal of Econometrics,1986

3. A capital asset pricing model with time varying covariance;Bollerslev;Journal of Political Economy,1988

4. Price volatility in the Hong Kong stock market: A test of the information and trading noise hypothesis;Chan;Pacific-Basin Finance Journal,1993

5. Intraday volatility in the stock index and stock index futures markets;Chan;Review of Financial Studies,1991

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